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BACKGROUND: Exercise reduces the odds of sadness and suicidality in bullied students, but the role of the bullying environment on this relationship remains unknown. METHODS: Using combined data from the 2013 and 2015 Youth Risk Behavior Survey (N = 29,207), adjusted logistic regression models estimated odds ratios between exercise, sadness, and suicidal ideation and attempt, stratified by bullying exposure (electronically/at school). RESULTS: Overall, 40.2% of students bullied at school and 48.3% of students bullied electronically reported feeling sad, compared to 22.6% of those not bullied. Bullied students were 2–3 times more likely to report suicidal ideation, and 3–4 times more likely to report suicidal attempt, regardless of bullying context. Students who were bullied at school and exercised 4–7 days per week had lower odds of sadness (adjusted odds ratio [AOR]: 0.64; 95% confidence interval [CI]: 0.51–0.81), suicidal ideation (AOR: 0.66; 95% CI: 0.53–82), and suicidal attempt (AOR: 0.69; 95% CI: 0.48–0.98) compared to those who exercised 0–3 days. There were no protective effects of exercise for students bullied electronically. CONCLUSIONS: Exercise reduced sadness and suicidality in adolescents bullied at school but not for students who were cyberbullied. Bullying environment should be a primary consideration in school mental health treatment and maintenance paradigms. [ABSTRACT FROM AUTHOR]